Despite Commonwealth Bank's A$3.0 billion PERLS VII hybrid note issue continuing to present a shining example of the risks of buying over hyped and under-priced hybrid notes, it seems no-one has yet learnt the lesson. Since being issued in October last year, the PERLS VII notes have traded as low as $86 against a face value of $100, and are currently marked around $91.In the meantime, every hybrid issue that has come to market this year has been upsized and priced at the narrow end of the indicated pricing range, when the bookbuild for the issue has been undertaken.Every one of these issues now trades below face value in the secondary market.Investors buying into the primary issuance of these hybrid notes have set themselves up to lose money. And repeatedly doing so is a triumph of hope over experience.Nevertheless, the cycle continues.Macquarie Group has positioned itself to be the last issuer of ASX listed hybrid notes in 2015. Macquarie launched its Capital Notes 2 (MCN2) issue on Monday and completed the bookbuild on Thursday, a day ahead of schedule.Macquarie launched the issue at $400 million and closed the book at $500 million. The indicative credit margin to be paid over the 180 day bank bill rate ranged from 515 basis points to 535 bps - the margin was, of course, set at 515 bps.The offer will officially open tomorrow but with the success of the bookbuild, the offer will not be open to the general public. This as it turns out, is just as well for them - they'll buy it cheaper in the secondary market.Issuance volume of ASX listed debt has been light this year. At present total issuance for 2015, including this offer and assuming no increase in current incomplete offers, will come in at a little more than $5.9 billion.This is the lowest annual total since $13 billion of ASX listed debt securities were sold in 2012. Perhaps, this explains the apparently strong demand for the MCN2s but this should have been mitigated by the soft conditions experienced in the market this year, in line with the weakness in bank share prices.The features of Additional Tier 1 (AT1) capital, as the MCN2s are, have become highly standardised. The MCN2s are perpetual, mandatorily convertible, exchangeable, and callable, with deferrable, non-cumulative dividends.The only differences relative to other bank issued AT1 capital, is that there is no Common Equity conversion trigger because Macquarie Group is a bank holding company and, given Macquarie's extensive international business activities, dividends will not be fully franked. At present, franking is expected to be to 40 per cent, in line with that on the group's ordinary dividends.There is one other curious difference that has not been explained. Where other AT1 capital issues will have an optional call date on which notes can be redeemed (subject to APRA's approval) and a mandatory conversion date two years later, the MCN2s have three optional call dates spread over a period of 12 months.The MCNs can be called in March